|
|
|
|
|
|
|
|
1. |
Record Nr. |
UNINA9910826274803321 |
|
|
Titolo |
Fourier transform methods in finance / / Umberto Cherubini ... [et al.] |
|
|
|
|
|
Pubbl/distr/stampa |
|
|
Chichester ; ; [Hoboken, NJ], : John Wiley & Sons, c2010 |
|
|
|
|
|
|
|
ISBN |
|
0-470-68492-5 |
1-119-20782-7 |
1-282-48313-7 |
9786612483134 |
0-470-68822-X |
|
|
|
|
|
|
|
|
Edizione |
[1st ed.] |
|
|
|
|
|
Descrizione fisica |
|
1 online resource (258 p.) |
|
|
|
|
|
|
Collana |
|
The Wiley Finance Series ; ; v.524 |
|
|
|
|
|
|
Altri autori (Persone) |
|
|
|
|
|
|
Disciplina |
|
|
|
|
|
|
Soggetti |
|
Options (Finance) - Mathematical models |
Securities - Prices - Mathematical models |
Finance - Mathematical models |
Fourier analysis |
|
|
|
|
|
|
|
|
Lingua di pubblicazione |
|
|
|
|
|
|
Formato |
Materiale a stampa |
|
|
|
|
|
Livello bibliografico |
Monografia |
|
|
|
|
|
Note generali |
|
Description based upon print version of record. |
|
|
|
|
|
|
Nota di bibliografia |
|
Includes bibliographical references and index. |
|
|
|
|
|
|
Nota di contenuto |
|
Fourier Transform Methods in Finance; Contents; Preface; List of Symbols; 1 Fourier Pricing Methods; 2 The Dynamics of Asset Prices; 3 Non-stationary Market Dynamics; 4 Arbitrage-Free Pricing; 5 Generalized Functions; 6 The Fourier Transform; 7 Fourier Transforms at Work; Appendices; A Elements of Probability; B Elements of Complex Analysis; C Complex Integration; D Vector Spaces and Function Spaces; E The Fast Fourier Transform; F The Fractional Fast Fourier Transform; G Affine Models: The Path Integral Approach; Bibliography; Index |
|
|
|
|
|
|
|
|
Sommario/riassunto |
|
In recent years, Fourier transform methods have emerged as one of the major methodologies for the evaluation of derivative contracts, largely due to the need to strike a balance between the extension of existing pricing models beyond the traditional Black-Scholes setting and a need to evaluate prices consistently with the market quotes. Fourier Transform Methods in Finance is a practical and accessible guide to pricing financial instruments using Fourier transform. Written by an experienced team of practitioners and academics, it covers Fourier |
|
|
|
|